No period on depo?

I'm 9 days late and I took the depo shot on the last day of my last period. The doctor told me I'd probably not have my period on the second or third month on the depo. It's the first month and nothing. Could the depo be like the pills? Once you start them your period days change?

I also took a pregnancy test two days ago and it came back negative. Should I wait a while to take another one?